Man pages for drkowal/dsp
Dynamic Shrinkage Processes

bayesreg_glMCMC Sampler for Linear Regression with Global-Local Priors
btfMCMC Sampler for Bayesian Trend Filtering
btf0MCMC Sampler for Bayesian Trend Filtering: D = 0
btf_bsplineMCMC Sampler for B-spline Bayesian Trend Filtering
btf_bspline0MCMC Sampler for B-spline Bayesian Trend Filtering: D = 0
btf_regMCMC Sampler for Bayesian Trend Filtering: Regression
build_QCompute the quadratic term in Bayesian trend filtering
build_XtXCompute X'X
computeTimeRemainingEstimate the remaining time in the MCMC based on previous...
credBandsCompute Simultaneous Credible Bands
ergMeanCompute the ergodic (running) mean.
getARpXmatCompute the design matrix X for AR(p) model
getEffSizeSummarize of effective sample size
getNonZerosCompute Non-Zeros (Signals)
initCholReg.spamCompute initial Cholesky decomposition for TVP Regression
initChol.spamCompute initial Cholesky decomposition for Bayesian Trend...
initDHSInitialize the evolution error variance parameters
initEvol0Initialize the parameters for the initial state variance
initEvolParamsInitialize the evolution error variance parameters
initSVInitialize the stochastic volatility parameters
invlogitCompute the inverse log-odds
logitCompute the log-odds
plot_cpPlot the series with change points
plot_fittedPlot the Bayesian trend filtering fitted values
post_spec_dspCompute the posterior distribution of the spectrum of a...
rigSample from an inverse-Gaussian distribution
sampleAR1Sample the AR(1) coefficient(s)
sampleBTFSampler for first or second order random walk (RW) Gaussian...
sampleBTF_bsplineSampler for first or second order random walk (RW) Gaussian...
sampleBTF_regSampler for first or second order random walk (RW) Gaussian...
sampleBTF_reg_backfit(Backfitting) Sampler for first or second order random walk...
sampleDSPSample the dynamic shrinkage process parameters
sampleEvol0Sample the parameters for the initial state variance
sampleEvolParamsSampler evolution error variance parameters
sampleFastGaussianSample a Gaussian vector using the fast sampler of...
sampleLogVolMuSample the AR(1) unconditional means
sampleLogVolMu0Sample the mean of AR(1) unconditional means
sampleLogVolsSample the latent log-volatilities
sampleSVparamsSampler for the stochastic volatility parameters
sampleSVparams0Sampler for the stochastic volatility parameters using same...
simRegressionSimulate noisy observations from a dynamic regression model
simUnivariateSimulate noisy observations from a function
spec_dspCompute the spectrum of an AR(p) model
tvarMCMC Sampler for Time-Varying Autoregression
uni.sliceUnivariate Slice Sampler from Neal (2008)
drkowal/dsp documentation built on Jan. 22, 2018, 4:44 p.m.